The subject is pretty much self explaining, but to get a little more precise:
I am currently creating a game just for fun with no intend to get any money out of it. I am using graphics gathered all over the web. If I'd make this game available for other forum users to let them take part in my entertainment, would that be illegal?

On the web pages where you obtained the graphics is there any licensing or usage information?
By that I mean is there anything that says you may use these images for non-commercial use, or licensed under creative commons?
Unless the copyright holder gives you permission, what you are thinking about doing is copyright infringement, which is illegal. The fact that you are not making any money is irrelevant.

What are the consequences if you are caught?
Best case: Nothing will happen
Possible: You will get a take down notice from the copyright holder, which would require you to remove your game from the internet. Note things can get nasty if you receive a take down notice and fail to comply.
Worst case: You could be sued in a court of law.

Recommendations: Use free assets from the creative commons section viewforum.php?f=52
Use photographs that you've made
Hire an artist, or request free help in the Free project looking for help sectionviewforum.php?f=59